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Asymmetric information and imperfect competition in a continuous time multivariate security model

Author

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  • Guillaume Lasserre

Abstract

This paper deals with the problem of price formation in a market with asymmetric information and several risky assets. We then extend the multivariate security model of Caballé and Krishnan (1994) to a continuous time framework, and general utility function. Our model enables us to observe some results which are specific to multi security markets such as Giffen effect. An application of the main result will be the non trivial generalizations of the models of Back (1992) and Cho (1997). Copyright Springer-Verlag Berlin/Heidelberg 2004

Suggested Citation

  • Guillaume Lasserre, 2004. "Asymmetric information and imperfect competition in a continuous time multivariate security model," Finance and Stochastics, Springer, vol. 8(2), pages 285-309, May.
    • Handle: RePEc:spr:finsto:v:8:y:2004:i:2:p:285-309
    DOI: 10.1007/s00780-003-0118-z
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    Citations

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    Cited by:

    1. Ibrahim Ekren & Brad Mostowski & Gordan v{Z}itkovi'c, 2022. "Kyle's Model with Stochastic Liquidity," Papers 2204.11069, arXiv.org.
    2. Luis Carlos Garc'ia del Molino & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2018. "The Multivariate Kyle model: More is different," Papers 1806.07791, arXiv.org, revised Dec 2018.
    3. Jos'e M. Corcuera & Giulia Di Nunno, 2020. "Path-dependent Kyle equilibrium model," Papers 2006.06395, arXiv.org, revised Oct 2022.
    4. José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
    5. L. C. Garcia Del Molino & I. Mastromatteo & Michael Benzaquen & J.-P. Bouchaud, 2020. "The Multivariate Kyle model: More is different," Post-Print hal-02323433, HAL.
    6. Shreya Bose & Ibrahim Ekren, 2020. "Kyle-Back Models with risk aversion and non-Gaussian Beliefs," Papers 2008.06377, arXiv.org, revised Oct 2022.
    7. Christoph Kuhn & Matthias Riedel, 2012. "Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration," Papers 1210.4000, arXiv.org.
    8. Reda Chhaibi & Ibrahim Ekren & Eunjung Noh & Lu Vy, 2022. "A unified approach to informed trading via Monge-Kantorovich duality," Papers 2210.17384, arXiv.org.
    9. L. C. Garcia Del Molino & I. Mastromatteo & Michael Benzaquen & J.-P. Bouchaud, 2019. "The Multivariate Kyle model: More is different," Working Papers hal-02323433, HAL.
    10. José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.

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